General Economics, Econometrics and Finance; Finance
Abstract :
[en] We have performed a Zipf-like analysis of financial data. We emphasize new results: (i) the existence of long-range correlations for the sign of daily fluctuations of selected size; (ii) the existence of patterns and correlations in the world major trading places. The Zipf analysis allows also to measure the "domino effect" between trading places in the world.
Disciplines :
Physics
Author, co-author :
Vandewalle, Nicolas ; Université de Liège - ULiège > Département de physique > Physique statistique appliquée et des matériaux
BRISBOIS, F.; GRASP, Institut de Physique B5, Université de Liège, B-4000 Liège, Belgium
Lefebvre, Pierre-Henri ; Université de Liège - ULiège > Département de physique > Spectroscopie atomique et nucléaire, archéométrie
Language :
English
Title :
MANAGING BOTH SIGN AND SIZE OF FLUCTUATIONS WITHIN THE n-ZIPF FRAMEWORK
Publication date :
July 2000
Journal title :
International Journal of Theoretical and Applied Finance
